Deus Ex, Final Fantasy X and (for me) Civilization series! The latter has further devloped my interest and knowledge of history and cultures.

Kingdom Hearts Series

Civilization and Sim City

Fallout 1 & 2. Playing that game makes me rethink human nature everytime I play it.

Metal Gear Solid 3

It might be a weird answer, but Tales of Symphonia got me thinking through its immersive storyline. Let me explain.

At the time I played Tales of Sypmhonia, I thought a lot about religion and its role in society. Not that I have ever been (or will ever be) religious, but I encountered some people and events that got me thinking. ToS fitted perfectly into this line: the way I interpreted it, it challenged the way religion took hold of society. It showed that 'the light' and 'the good' are not always what they seem, and that religion is too often used as a means of enslavement. Hence the angels that turned out to be the main villains of the story. This was exactly the way I thought about the matter. It's also the reason I still hail ToS as the best game storyline ever created: it challenged a lot of social and moral issues, but never force-fed you an opinion.

Metal Gear Solid 2 was as thought provoking as a Wachowski Brother's movie. It was more WTF provoking.

My choices would be MGS1 or Silent Hill 2.

Because you've played them all right?

For me the most thought provoking games i've played, Civ, Starcraft, Warcraft3, FFVI, Dungeon, GoW, RE, and all the GTA, the gta specially because I often wonder.. would I really be such a bastard if There were no consequences to my acts? why don't we have game morals?

On a philosophical level, Bioshock. It's just a shame that Irrational didn't delve a little deeper into Objectivism and its nuances. I still commend them for trying, though. Most other developers wouldn't have touched upon the subject.